Shing Fung Chung

The Chinese University of Hong Kong (CUHK) - Department of Statistics

Room 139, Lady Shaw Building

Shatin, 250

Hong Kong

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Scholarly Papers (1)

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Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps

European Journal of Operational Research. 245, 571-580
Number of pages: 38 Posted: 23 Jun 2020
Chi Seng Pun, Shing Fung Chung and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences, The Chinese University of Hong Kong (CUHK) - Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
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Abstract:

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Pricing, Variance Swap, Multi-factor Stochastic Volatility, Mean Reversion, Jump Diffusion